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We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures… Click to show full abstract
We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally bounded and adapted process.
Keywords:
local martingale;
characterization set;
martingale measures;
set local
Journal Title: Stochastics and Dynamics
Year Published: 2017
Link to full text (if available)
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Journal Title: Stochastics and Dynamics
Year Published: 2017
Link to full text (if available)
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recommendations!